Trend-Following Backtester · Guide · backtest 한국어
equity · US
Liquidity Services, Inc. backtest
10 trend-following strategies were compared on the full daily history of Liquidity Services, Inc.. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.9%, MDD -55.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 6.3%, drawdown -95.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.9%, MDD -55.0%, Sharpe 0.45, 33% exposure.
CAGR reference leader: Supertrend — CAGR 10.5%, MDD -71.9%, exposure 54%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.6%p higher than buy and hold, while drawdown improves by 40.3%p (CAGR 9.9%, MDD -55.0%, exposure 33%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=98, exitN=28 |
9.9% | -55.0% | 0.45 | 0.18 | 7.0x | 37 | 33% |
| Supertrend period=13, mult=4.5 |
10.5% | -71.9% | 0.45 | 0.15 | 7.8x | 61 | 54% |
| EMA 크로스오버 fast=18, slow=157 |
10.0% | -68.1% | 0.43 | 0.15 | 7.0x | 45 | 50% |
| SMA 크로스오버 fast=30, slow=114 |
8.5% | -81.5% | 0.40 | 0.10 | 5.3x | 51 | 52% |
| Parabolic SAR step=0.005, maxStep=0.36 |
6.3% | -72.2% | 0.35 | 0.09 | 3.5x | 169 | 50% |
| ROC 모멘텀 n=123, threshold=0.01 |
6.2% | -73.9% | 0.35 | 0.08 | 3.5x | 171 | 50% |
| ADX / DI 방향성 period=52, threshold=12 |
3.7% | -64.5% | 0.26 | 0.06 | 2.1x | 74 | 26% |
| MACD fast=19, slow=53, signal=16 |
2.6% | -74.8% | 0.26 | 0.03 | 1.7x | 213 | 51% |
| 볼린저 밴드 돌파 n=26, k=1.5 |
1.8% | -67.9% | 0.22 | 0.03 | 1.4x | 203 | 39% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=18, mult=3.3 |
1.2% | -54.4% | 0.17 | 0.02 | 1.3x | 62 | 24% |
| Buy and hold | 6.3% | -95.3% | 0.39 | 0.07 | 3.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 98 days
- Sell — Sell when price breaks below the lowest low of the last 28 days